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ES: ... [the third question] It’s the one about Grindelwald, which I’m sure you’ve been gearing up for us to ask.
JKR: Come on then, remind me. Is he dead?
ES: Yeah, is he dead?
JKR: Yeah, he is.
ES: You don’t have to answer but can you give us some backstory on him?
JKR: I'm going to tell you as much as I told someone earlier who asked me. You know Owen who won the [UK television] competition to interview me? He asked about Grindelwald [pronounced "Grindelvald" HMM…]. He said, “Is it coincidence that he died in 1945,” and I said no. It amuses me to make allusions to things that were happening in the Muggle world, so my feeling would be that while there's a global Muggle war going on, there's also a global wizarding war going on.

Of course, as we know from Deathly Hallows, Grindelvald was definitely NOT dead in 1945, since he is held in Numengard after being defeated by Dumbledore; and will only be killed in 1998 by Voldemort.

UPDATE:

Define irony: in that same interview later, JKR said the following:

JKR: I've never, to my knowledge, lied when posed a question about the books. To my knowledge. You can imagine, I've now been asked hundreds of questions; it's perfectly possible at some point I misspoke or I gave a misleading answer unintentionally, or I may have answered truthfully at the time and then changed my mind in a subsequent book. That makes me cagey about answering some questions in too much detail because I have to have some leeway to get there and do it my way, but never on a major plot point.

As an aside, not only did she provide information in interviews that was contradicted by later books, but she did so in books as well (see an exceptionally well timed question from TangoOversway)
– DVK-on-Ahch-ToFeb 6 '12 at 1:09

I dug up the interview with Owen Jones for another answer, and I don’t think he actually says that Grindelwald dies in 1945; he talks about his “defeat”. See accio-quote.org/articles/2005/…. Obviously she still says Grindelwald is dead when he isn’t, but this is evidence of memory slips.
– alexwlchanJan 10 '14 at 20:41

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Also, it pains me I cannot remember the name, but she tells a fan there will be a character with their name. Said character never shows up (Rowling possibly addresses this in a FAQ, I'll dig around when I can).
– Mac CooperMar 13 '14 at 19:43